Abstract:
Let μ be a centred Gaussian measure in a linear space X with Cameron-Martin space H, let q be a μ-measurable seminorm, and let Q be a μ-measurable second-order polynomial. We show that it is sufficient for the existence of the limit limε→0E(expQ|q⩽ε), where E is the expectation with respect to μ, that the second derivative D2HQ of the function Q be a nuclear operator on H. This condition is also necessary for the existence of the above-mentioned limit for all seminorms q. The problem under discussion can be reformulated as follows: study
limε→0ν(q⩽ε)/μ(q⩽ε) for Gaussian measures ν equivalent to μ.
\Bibitem{Bog98}
\by V.~I.~Bogachev
\paper On the small balls problem for equivalent Gaussian measures
\jour Sb. Math.
\yr 1998
\vol 189
\issue 5
\pages 683--705
\mathnet{http://mi.mathnet.ru/eng/sm319}
\crossref{https://doi.org/10.1070/sm1998v189n05ABEH000319}
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Linking options:
https://www.mathnet.ru/eng/sm319
https://doi.org/10.1070/sm1998v189n05ABEH000319
https://www.mathnet.ru/eng/sm/v189/i5/p47
This publication is cited in the following 4 articles:
P. A. Borodin, I. A. Ibragimov, B. S. Kashin, V. V. Kozlov, A. V. Kolesnikov, S. V. Konyagin, E. D. Kosov, O. G. Smolyanov, N. A. Tolmachev, D. V. Treshchev, A. V. Shaposhnikov, S. V. Shaposhnikov, A. N. Shiryaev, A. A. Shkalikov, “Vladimir Igorevich Bogachev (on his 60th birthday)”, Russian Math. Surveys, 76:6 (2021), 1149–1157
Ivan S. Yaroslavtsev, “Local characteristics and tangency of vector-valued martingales”, Probab. Surveys, 17:none (2020)
Kara-Zaitri L., Laksaci A., Rachdi M., Vieu Ph., “Uniform in bandwidth consistency for various kernel estimators involving functional data”, J. Nonparametr. Stat., 29:1 (2017), 85–107
V. R. Fatalov, “Constants in the asymptotics of small deviation probabilities for Gaussian processes and fields”, Russian Math. Surveys, 58:4 (2003), 725–772